US TSYS: <12M RECESSSION ODDS UP, EDZ9 SLOWLY PRICES 50BP CUT

US TSY SUMMARY: Tsys broadly higher but paring  late session highs after the

bell. Long end extended pre-open highs twice, catching up with Bund rally

earlier. Curves mixed, 3M10Y extended inversion to new 12 year lows earlier,

5Y30Y reverses early steepening, near lows late. US$ index firmer (DXY +.160,

96.896); equities grinding off midday lows (SPX -9.0, 2814.0).

- Coming into session the Jun 30Y bond traded in red briefly -- whole curve

traded well off pre-open highs following Bunds and Gilts lead all day. Front end

well bid -- EDZ9 gradually pricing in chances of 50BP rate cut.

- Little react to data on day, some forced unwinds, weak shorts stopped out,

technical support, positioning ahead multiple Fed speakers Thursday.

- Heavy Eurodollar put option flow, highlight: >100k EDZ 71/72/73/75 put condors

from 3.5-4.0 on day, scale buyer at 3.5-4.0 adding to +120k position from 5.5

high over last week.

- Tsy cash/ylds: 2Y 100-02.88 (2.202%), 5Y 100-31 (2.165%), 10Y 102-05.5

(2.375%), 30Y 103-19.5 (2.819%).

US TSY FUTURES CLOSE: Bumping around late session highs after the bell, breached

midday levels on rather quiet trade, decent overall volume (TM near 2M). Curves

mixed, 3M10Y extended inversion to new 12 year lows earlier, 5Y30Y reverses

early steepening, near lows late. Update:

* 3M10Y -1.418, -5.237 (-11.035L/-3.288H)

* 2Y10Y +0.659, 16.133 (15.182L/19.215H);

* 2Y30Y +0.152, 60.641 (60.441L/66.518H);

* 5Y30Y -1.919, 64.735 (64.643L/70.778H);

Current futures levels:

* Jun Ultra bonds up 1-14/32 at 168-01 (166-06L/168-07H)

* Jun 30-yr Bond futures up 27/32 at 149-30 (148-25L/150-05H)

* Jun 10-yr futures up 6.5/32 at 124-19.5 (124-08.5L/124-31H)

* Jun 5-yr futures up 2.75/32 at 116-04.75 (115-30.75L/116-14.25H)

* Jun 2-yr futures up 2.25/32 at 106-22 (106-19/106-25.25H)

US EURODLR FUTURES CLOSE: Higher across the strip after the bell -- near middle

of decent range w/Whites-Reds outperforming. Short end well bid as mkt gradually

prices in increased chance of 50bp rate cut at year end. Current White pack

(Jun'19-Mar'20):

* Jun'19 +0.020 at 97.480

* Sep'19 +0.020 at 97.575

* Dec'19 +0.040 at 97.640

* Mar'20 +0.040 at 97.785

* Red pack (Jun'20-Mar'21) +0.040-0.025

* Green pack (Jun'21-Mar'22) +0.015-0.005

* Blue pack (Jun'22-Mar'23) +0.010-0.015

* Gold pack (Jun'23-Mar'24) +0.020-0.030

MONTH-END EXTENSIONS: *** Preliminary Bloomberg-Barclays US month-end index

extension/forecast summary compared to the average increase for the past year

and the same time in 2018; TIPS 0.11Y; Govt inflation-linked, 0.14Y

*.....................Projected...1Y Avg Incr..Last Year

*US Tsys.................0.06........0.08........0.06

*Agencies................0.14........0.09........0.09

*Credit..................0.11........0.09........0.10

*Govt/Credit.............0.08........0.08........0.08

*MBS.....................0.05........0.07........0.07

*Aggregate...............0.07........0.08........0.08

*Long Govt/Credit........0.09........0.09........0.07

*Interm Credit...........0.10........0.08........0.09

*Interm Govt.............0.07........0.08........0.07

*Interm Govt/Cred........0.08........0.07........0.08

*High Yield..............0.06........0.08........0.09

US DOLLAR LIBOR: Latest settles

* O/N 2.3921% (+0.0031/wk)

* 1 Month +0.0031 to 2.4986% (-0.0002/wk)

* 3 Month +0.0036 to 2.6010% (-0.0088/wk)

* 6 Month -0.0314 to 2.6507% (-0.0253/wk)

* 1 Year -0.0418 to 2.6828% (-0.1042/wk)

US TSYS: REPO REFERENCE RATES: (rate, volume) 

* Secured Overnight Financing Rate (SOFR): 2.40%, $901B

* Broad General Collateral Rate (BGCR): 2.37%, $410B

* Tri-Party General Collateral Rate (TGCR): 2.37%, $393B

OUTLOOK: *** Data/speaker calendar (prior, estimate):

28-Mar 0715 Fed Brd Gov Quarles, Financial Stability Board Agenda, Gr, Q&A

28-Mar 0830 23-Mar jobless claims (221k, 223k)

28-Mar 0830 Q4 GDP (3rd) (2.6%, 2.3%); Price Index (1.8%, 1.8%)

28-Mar 0930 Fed Brd Gov VC Clarida, global shocks/U.S. economy, Paris, Q&A

28-Mar 1000 Feb NAR pending home sales index (103.2, --)

28-Mar 1030 22-Mar natural gas stocks w/w

28-Mar 1100 Mar Kansas City Fed Mfg Index

28-Mar 1130 Atl Fed Pres Bostic, workforce development, income

mobility/inequality, Comm Club, Atl, Q&A

28-Mar 1300 US TSY $32B 7Y note auction (9128286L9)

28-Mar 1315 NY Fed Pres Williams on economy w/Kenneth Rivera-Robles, Pres Puerto

Rico CoC, San Juan

28-Mar 1630 27-Mar Fed weekly securities holdings

28-Mar 1820 StL Fed Pres Bullard, economy/mon-pol, Wi Economy (CROWE)'s Spring

Outlook, Madison, Q&A

PIPELINE: PIPELINE: Quiet midweek issuance; $5B Mars multi-tranche lead Tuesday

Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:

03/27 $1B Klabin Austria $500M 10Y 5.85%a, $500M 30Y 7.37%a

-

$5B Mars multi-tranche lead issuance Tuesday, $7.3B priced 03/26 

$5B *Mars 8-part: $600M 6Y +52, $700M 11Y +82, $600M 15Y +122, $700m 20Y +102,

                  $300M 25Y +110, $900M 30Y +112, $500M 35Y +127, $700M 40Y +137

03/26 $1.3B *NatWest $1B 3.5Y +145, $300M 3.5Y FRN L+140

03/26 $1B *CIBC 5Y +92

US SWAPS: Decent round trip for spds, at/near wides by the bell after opening

mostly tighter across the curve, 5Y off early week >2-year lows. Moderate rate

paying into Tsy strength across the board, limited swappable supply another

factor adding to move. Latest spds:

Time (ET)   2Y Swap/Mid   5Y Swap/Mid   10Y Swap/Mid    30Y Swap/Mid

Wed 3:00    +2.25/10.94   +0.69/4.19     +1.19/-2.62   +0.94/-27.25

12:15       +1.19/9.88    -0.50/3.00     -0.81/-4.62   -0.75/-28.94

9:00        +0.94/9.62    -0.56/2.94     -1.00/-4.81   -1.56/-29.75

Wed Open    +1.31/10.00   -0.44/3.06     -0.62/-4.44   -0.81/-29.00

Eurodollar/Tsy options:

Eurodollar options, Pit/screen:

* 15,000 Jul 72/73 put spds, 0.75

* -20,000 short Apr 77/81 call over risk reversals, 0.0

* 8,000 Mar 70/71/72/73 put condors, 1.5

* Update,over +40,000 short Dec 85/90/91/96 call condors at 4.5

* +20,000 short Dec 85/90/91/96 call condors at 4.5

* 10,000 Apr 73/75 2x3 call spds 7.0 over 20,000 short Jul 76 puts

Block, 1229:14ET, adds to -35k in pit

* 10,000 short Dec 83 calls, 12.5

Blocks, 1147:51-1155:26ET

* +60,000 short Dec 86/88 call spds, 3.5

Heavy put condor buying -- fading the rally (Dec starting to price in 50bps rate

cut by year end -- MNIs PINCH model

has probability of 25bp cut at 122%)

* Update, over +100,000 Dec 71/72/73/75 put condors from 3.5-4.0 on day, scale

buyer at 3.5-4.0 adding to +120k position from 5.5 high over last week

Additional put condor trade last few minutes covering mid-year

* +10,000 short Jul 81/83/86/88 put condors at 4.5

* 20,000 Jul 76/77/78/80 put condors, 2.75

* Update, over +50,000 Dec 71/72/73/75 put condors (+25k at 4.0 new high price),

scale buyer at 3.5-4.0 adding to +120k position from 5.5 high over last week

Block, 0901:02ET

* 20,000 short Dec 83 calls, 12.5

* 5,000 Dec 71/73/76 call flys, 7.5 vs. 97.635/0.19%

* 5,000 Green Jun 80 straddles, 31.0

* +4,000 short Jul 72/73/75/76 put condors, 1.5

* +10,000 Dec 73/75 2x1 put spds, 0.5

* Update, over +25,000 Dec 71/72/73/75 put condors, scale buyer at 3.5-3.75

adding to +120k position from 5.5 high over last week

* +5,000 Dec 71/72/73/75 put condors, scale buyer at 3.5 adding to +120k

position from 5.5 high over last week

* +2,500 Dec 72/73/75 put flys, 2.5

* 1,000 Mar 72/73/75/76 put condors 3.0

* 6,500 Green Dec 76/78 2x1 put spds, 1.0

Tsy options, Pit/screen:

* 2,350 wk5 TY 124.5/124.75 strangles, 26

* -20,000 TYK 126.5 calls, 9.25-8 pit/screen

* +4,000 FVM 115.25/116 2x1 put spds, 7

* -2,500 TYK 124 puts, 20

* +5,000 TYK 123 puts, 7/64

* +2,500 TUK 106.25/106.62 2x1 put spds, 6/64

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]